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November 28, 2012  Wed 10:44 AM CT

TLT: SEE CHART GET CHAIN FIND STRATEGIES
A trader is adjusting a huge position in the TLT Treasury exchange-traded fund as it tries to rebound.

The iShares 20+ Year Treasury Bond Fund is up 0.26 percent to $125.61. The fund, which was at an all-time high of $132.22 in late July, bounced off support at $118 in mid-September.

optionMONSTER's systems detected the sale of 22,708 January 124 puts for $1.96, far above the previous open interest of 1,671 contracts and therefore a new position. Seconds later, a block of 11,354 March 124 calls was sold for $4.15 in volume that was less than the open interest of 14,439 at the start of the day.
 
So it appears that the trader is unwinding a January long call position that is now in the money while selling nearer-term puts in a more neutral stance that can profit if the TLT is anywhere above $124 at expiration. (See our Education section)
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Education & Strategy

The Strike-Based Greeks

The other Greeks (Gamma, Vega, and Theta) are calculated by using month and strike data, and not by individual option. These are called strike-based Greeks. Gamma, Theta, and Vega are all strike-based Greeks

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